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International portfolio diversification: Is there a role for the Middle East and North Africa?
13 references·16 citing·44 second hop
International portfolio diversification: Is there a role for the Middle East and North Africa? (2007)International portfolio diversification: …The Drivers of Expected Returns in International Markets (2005)The Drivers of Expected Retur…Equity market integration in Central European emerging markets: A cointegration analysis with shifting regimes (2004)Equity market integration in …A Brief History of Downside Risk Measures (1999)A Brief History of Downside R…Emerging equity market volatility (1997)Emerging equity market volati…Predictable Risk and Returns in Emerging Markets (1995)Predictable Risk and Returns …Predictable Risk and Returns in Emerging Markets (1994)Predictable Risk and Returns …Lessons for International Asset Allocation (1993)Lessons for International Ass…On the Sensitivity of Mean-Variance-Efficient Portfolios to Changes in Asset Means: Some Analytical and Computational Results (1991)On the Sensitivity of Mean-Va…For better performance (1988)For better performanceBayes-Stein Estimation for Portfolio Analysis (1986)Bayes-Stein Estimation for Po…International Portfolio Diversification with Estimation Risk (1985)International Portfolio Diver…Performance Hypothesis Testing with the Sharpe and Treynor Measures (1981)Performance Hypothesis Testin…Optimal rules for ordering uncertain prospects (1975)Optimal rules for ordering un…Spillover Effects among European, the US and Moroccan Stock Markets before and after the Global Financial Crisis (2019)Spillover Effects among Europ…Financial stress dynamics in the MENA region: Evidence from the Arab Spring (2019)Financial stress dynamics in …Portfolio diversification between developed and developing stock markets: The case of US and UK investors in Nigeria (2017)Portfolio diversification bet…Market Risk Disclosures and Investment Efficiency: International Evidence from the Gulf Cooperation Council Financial Firms (2016)Market Risk Disclosures and I…Regional and global spillovers and diversification opportunities in the GCC equity sectors (2015)Regional and global spillover…MENA stock market volatility persistence: Evidence before and after the financial crisis of 2008 (2015)MENA stock market volatility …Determinants of foreign direct and indirect investment in the MENA region (2015)Determinants of foreign direc…Value-at-Risk analysis in the MENA equity markets: Fat tails and conditional asymmetries in return distributions (2014)Value-at-Risk analysis in the…Dynamic transmissions between the U.S. and equity markets in the MENA countries: New evidence from pre- and post-global financial crisis (2014)Dynamic transmissions between…An analysis of South-Eastern European stock markets: Evidence on cointegration and portfolio diversification benefits (2014)An analysis of South-Eastern …Should gold be included in institutional investment portfolios? (2013)Should gold be included in in…Global and regional co-movement of the MENA stock markets (2012)Global and regional co-moveme…On the relationship between economic freedom and equity returns in the emerging markets: Evidence from the Middle East and North Africa (MENA) stock markets (2010)On the relationship between e…Shift‐contagion Vulnerability in the MENA Stock Markets (2009)Shift‐contagion Vulnerability…Extreme observations and risk assessment in the equity markets of MENA region: Tail measures and Value-at-Risk (2009)Extreme observations and risk…Capital Market Integration in the Middle East and North Africa (2007)Capital Market Integration in…Portfolio Selection: Efficient Diversification of Investments. (1962)International Diversification of Investment Portfolios (1970)On estimating the expected return on the market (1980)Portfolio Selection and Asset Pricing Models (2000)Stock return predictability and model uncertainty (2002)60 Years of portfolio optimization: Practical challenges and current trends (2013)An Empirical Evaluation of Accounting Income Numbers (1968)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Risk, Return, and Equilibrium: Empirical Tests (1973)Construct validity of an objective (entropy) categorical measure of diversification strategy (1993)CORPORATE DIVESTITURE INTENSITY IN RESTRUCTURING FIRMS: EFFECTS OF GOVERNANCE, STRATEGY, AND PERFORMANCE. (1994)A BEHAVIORAL MODEL OF RATIONAL CHOICE (1955)The Cross-Section of Expected Stock Returns (1992)The Cost of Equity in Emerging Markets: A Downside Risk Approach (Ii) (2001)Mean-semivariance behavior: Downside risk and capital asset pricing (2005)Mean-Semivariance Optimization: A Heuristic Approach (2007)Theory of games and economic behavior (2019)Portfolio Selection: Efficient Diversification of Investments (1959)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The effect of estimation risk on optimal portfolio choice (1976)Capital market equilibrium in a mean-lower partial moment framework (1977)Chapter 2 Measurement of inequality (2000)Portfolio Selection (1952)Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach (2006)A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms (2009)An Analytic Derivation of the Efficient Portfolio Frontier (1972)On the Predictability of Stock Returns: An Asset‐Allocation Perspective (1996)Improved estimation of the covariance matrix of stock returns with an application to portfolio selection (2003)The Properties of Equally Weighted Risk Contribution Portfolios (2010)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)The arbitrage theory of capital asset pricing (1976)Local Return Factors and Turnover in Emerging Stock Markets (1999)A bivariate causality between stock prices and exchange rates: evidence from recent Asianflu☆ (2000)Political connections and the cost of equity capital (2012)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Asymmetric Volatility and Risk in Equity Markets (2000)Asymmetric correlations of equity portfolios (2002)Individualism and Momentum around the World (2010)Efficient Asset Management: A Practical Guide to Stock Portfolio Optimization and Asset Allocation. 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References

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Cited by

  • 2019Financial stress dynamics in the MENA region: Evidence from the Arab Spring89 cited
  • 2014An analysis of South-Eastern European stock markets: Evidence on cointegration and portfolio diversification benefits

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80 cited
  • 2014Dynamic transmissions between the U.S. and equity markets in the MENA countries: New evidence from pre- and post-global financial crisis70 cited
  • 2012Global and regional co-movement of the MENA stock markets63 cited
  • 2013Should gold be included in institutional investment portfolios?58 cited
  • 2010On the relationship between economic freedom and equity returns in the emerging markets: Evidence from the Middle East and North Africa (MENA) stock markets52 cited
  • 2009Extreme observations and risk assessment in the equity markets of MENA region: Tail measures and Value-at-Risk52 cited
  • 2007Capital Market Integration in the Middle East and North Africa49 cited
  • 2016Market Risk Disclosures and Investment Efficiency: International Evidence from the Gulf Cooperation Council Financial Firms46 cited
  • 2009Shift‐contagion Vulnerability in the MENA Stock Markets38 cited
  • 2015Determinants of foreign direct and indirect investment in the MENA region36 cited
  • 2015Regional and global spillovers and diversification opportunities in the GCC equity sectors34 cited
  • 2017Portfolio diversification between developed and developing stock markets: The case of US and UK investors in Nigeria33 cited
  • 2015MENA stock market volatility persistence: Evidence before and after the financial crisis of 200829 cited
  • 2014Value-at-Risk analysis in the MENA equity markets: Fat tails and conditional asymmetries in return distributions24 cited
  • 2019Spillover Effects among European, the US and Moroccan Stock Markets before and after the Global Financial Crisis24 cited